This is a summary of links featured on Quantocracy on Wednesday, 04/13/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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The Changing Generations of Financial Data [Quandl]As quants, were all aware that every model has a shelf-life. Sooner or later, the ideas and techniques behind every proprietary analytical technique diffuse into the broader world, at which point that technique is no longer the source of a competitive edge or alpha. Whats less well appreciated is that a similar pattern applies to the world of data. Rare, unique and proprietary data
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The SPY RSI No Lie Swing Trade System [Throwing Good Money]Heres a free system for you. I call it the SPY RSI No Lie system. Its called that because I like stupid titles, and internal rhymes are an added plus. I read a post on Jeff Swansons System Trader Success recently about using a short-period RSI value to trigger trades with the S&P 500. Jeffs post was more from a theoretical standpoint, as it used the SPX index (rather than a
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Relative Strength Index (RSI) Analysis [Alvarez Quant Trading]Recently I have been researching longer term hold strategies. I wondered which indicators by themselves would show an edge 3 to 6 months out. I am not looking to create a strategy from the indicator alone but want to know is there a statistical edge with it. Naturally, I started with my favorite Relative Strength Index, RSI. Rules Test period is from 1/1/2006 to 12/31/2015. Rules in parenthesis